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Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics
Hu, Yingyao - 2015
models describe mappings from a latent distribution to an observed distribution. The identification and estimation of …
Persistent link: https://www.econbiz.de/10010469057
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Long-run determinants of sovereign yields
Afonso, António; Rault, Christophe - 2010
We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant...
Persistent link: https://www.econbiz.de/10008653417
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Assessing Time-Series Versus Cross-Sectional Influences in Panel Estimates : International Financial Architecture and Expected Equity Premia
Aggarwal, Raj - 2012
-sectional effects. We present two estimation procedures that can do so and illustrate their application by examining international …-sectionally while other variables vary cross-sectionally but not across time. Using two different estimation procedures we find a … second estimation as U.S. Corporate bond spreads change value each year but have the same value across countries. Similarly …
Persistent link: https://www.econbiz.de/10013107186
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A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects
Koerber, Lena - 2013
This paper develops methodology for semiparametric panel data models in a setting where both the time series and the cross section are large. Such settings are common in finance and other areas of economics. Our model allows for heterogeneous nonparametric covariate effects as well as unobserved...
Persistent link: https://www.econbiz.de/10013088013
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Determinants of dividend payout decisions : a dynamic panel data analysis of Turkish stock market
Bostanci, Faruk; Kadioglu, Eyup; Sayilgan, Guven - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-16
This study analyzes the firm-specific factors affecting the dividend payout decisions of the companies whose shares are traded on the Borsa Istanbul stock exchange. To this end, the dynamic panel regression is applied to 853 observations of yearly average of 106 companies listed on the Borsa...
Persistent link: https://www.econbiz.de/10011963966
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Foreign direct investment inflows and financial development in Central and Eastern European Union countries : a panel cointegration and causality
Bayar, Yılmaz; Gavriletea, Marius Dan - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-13
Foreign direct investment (FDI) inflows have increased considerably in the globalized world as of the mid-1980s. The main objective of this research is to analyze interactions between FDI inflows and financial sector development in Central and Eastern European Union countries between 1996 and...
Persistent link: https://www.econbiz.de/10011883255
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Present Value Model between Prices and Dividends with Constant and Time-Varying Expected Returns : Enterprise-Level Brazilian Stock Market Evidence from Non-Stationary Panels
Rivera Rivera, Edward; Martin, Diógenes; Marçal, … - 2022
The Present Value Model (PVM) – in which current security prices depend upon the present value of future discounted dividends, where the discount rate is equivalent to the required rate of return – is one of the long-standing principles of Finance Theory. The objective of this work is to...
Persistent link: https://www.econbiz.de/10013405493
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The role of pricing errors in linear asset pricing models with strong, semi-strong, and latent factors
Pesaran, M. Hashem; Smith, Ron - 2023
-strong factors, and latent weak factors. It focusses on the estimation of ∅k = λk − μk which plays a pivotal role, not only in the … estimation of risk premia but also in tests of market efficiency, where λk and μk are respectively the risk premium and the mean …
Persistent link: https://www.econbiz.de/10013549135
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Determinants of Dividend Payout Decisions : A Dynamic Panel Data Analysis of Turkish Stock Market
Bostanci, Faruk; Kadioglu, Eyup; Sayilgan, Guven - 2021
This study analyzes the firm-specific factors affecting the dividend payout decisions of the companies whose shares are traded on the Borsa Istanbul stock exchange. To this end, the dynamic panel regression is applied to 853 observations of yearly average of 106 companies listed on the Borsa...
Persistent link: https://www.econbiz.de/10014361512
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Economic Growth and Financial Development : Evidence from Panel Cointegration Tests in Emerging Countries
Gultekin, Melis; Umutlu, Mehmet - 2023
This study analyzes the long-run relationship between economic growth (EG) and financial development (FD) in 27 emerging countries over the period 1980 to 2018 by employing the Johansen-Fisher panel cointegration method. The study also performs the vector error correction model (VECM) to...
Persistent link: https://www.econbiz.de/10014350197